Harry, 33, stayed with his brother Prince William at nearby Coworth Park.
While Meghan, 36, joined her mother, Doria Ragland, at the luxurious Cliveden House, a twenty-five minute drive away.
Harry and Wills, 35, took part in an impromptu walkabout in Windsor, delighting spectators who were preparing to camp out overnight.
It came after a day of developments on Friday in which it was confirmed that:
- Meghan will be joined down the aisle by Prince Charles, but will also walk part of the way alone, according to reports;
- Prince Philip, the Duke of Edinburgh, will attend Saturday’s ceremony despite undergoing a hip replacement just six weeks ago;
- Meghan’s mum Doria, 61, had tea with the Queen and the Duke at Windsor after a whirlwind introduction to senior Royals.
Meghan and her mother arrived at Cliveden House just before 7pm.
Beaming for waiting media, both women were introduced to the hotel’s senior management before being led into the historic house.
Meghan said she was feeling “wonderful” on the eve of her wedding.
Meanwhile Harry joined his brother, the Duke of Cambridge, on a walkabout in the centre of Windsor.
Harry was asked twice in quick succession if he was nervous, but he did not answer, and shortly afterwards when he was asked how he was feeling, he said: “Great, thanks. How are you feeling?”
Meghan O’Shea, aged seven, from Holyport, near Maidenhead, was among those who was chatting with Harry.
The prince noted the ‘H’ in the little girl’s name – like his soon-to-be-wife Meghan Markle – and she said he remarked: “Is that like the one I’m going to marry?
“There’s not very many Meghans with an ‘H’ around.”
Little Meghan said of her namesake: “I think she’s very nice.”
And in a touching moment, Harry kept hold of a stuffed bear given by a well wisher, taking the gift back into the castle.
A statement released earlier stated that Meghan had asked Prince Harry’s father to accompany her on her big day.
“Ms Meghan Markle has asked His Royal Highness The Prince of Wales to accompany her down the aisle of the Quire of St George’s Chapel on her Wedding Day.
“The Prince of Wales is pleased to be able to welcome Ms Markle to the Royal Family in this way.”
The decision to give Charles the high-profile role follows news that Meghan’s father Thomas Markle - who had been asked to walk his daughter down the aisle at St George’s Chapel - would no longer be attending the Windsor Castle wedding.
Announced in a statement from Meghan, Thomas’ absence is thought to be due ill-health.
“Sadly my father will not be attending our wedding,” the former Suits actress said on Thursday via Kensington Palace. “I have always cared for my father and hope he can be given the space he needs to focus on his health.”
US media reported that 73-year-old Markle underwent heart surgery on Wednesday, following a heart attack last week.
Meghan’s father initially dropped out of the wedding after it emerged that he had posed for staged paparazzi photos, telling celebrity news website TMZ that he did not want to “embarrass the royal family or his daughter”.
He later told the same website that he did in fact want to attend the nuptials, but that he had been back in hospital after experiencing chest pains.
There had been speculation that Meghan’s mother Doria Ragland, who arrived in the UK yesterday ahead of the wedding on Saturday, could have walked Meghan down the aisle in a break with royal tradition.
She will be travelling with her daughter to the chapel from their hotel in Windsor on the morning of the wedding.
Meanwhile, Buckingham Palace also confirmed that Harry’s 96-year-old grandfather, the Duke of Edinburgh, would be attending the nuptials after undergoing hip surgery last month.
NOTE: This article has been updated throughout.